Not sure what you mean by 'supports HDR photos' since HDR pics are more than one pics, it's multiple pics of the same object with over- and underexposure, put together to one HDR pics in a photo program. And, yes, you can use you XSi to do that.

As for XSi or 40D, I like the size and feel of the 40D better than the XSi. And one other great feature of the 40D, is the navi wheel on the rear.

Oh never mind then i thought there was an option to shoot HDR straight out of the camera. Anyways I love it, the interface is very easy to use and understand and the live view mode is very useful. One complaint though is when you try to take a shot through the viewfinder, your nose touches the screen and it gets oily and shit.